Barrie & Hibbert announces launch of iESG v6.2.3
Last updated 10th September 2009 - B&H have developed an extension to the 2-factor Black-Karasinski model that increases flexibility in controlling the projected path of interest rates in Real-World applications
B&H have developed an extension to the 2-factor Black-Karasinski model that increases flexibility in controlling the projected path of interest rates in Real-World applications - whilst retaining the model’s arbitrage-free property. This is achieved through the introduction of a Time-Varying Term Premium.
Standard Calibrations will be provided from the September 2009 calibration cycle. In addition, a calibration tool will be available soon for use with this model, offering clients the ability to calibrate the model to their own in-house views.
More details on what is offered by this new development are provided in a short note, available for download by clicking on the link below.
Time-Varying Term Premium: Controlling Projected Rates
For screenshots and discussion of this extension, please see the document:
iESG 6.2.3 Enhancement Note - Time-Varying Term Premium
For an example of results and discussion of calibration methods, please see the following documents:
- Real-world interest calibration: Comparing the constant and time-varying risk premium model calibration
- Real-World Interest Rate Calibration: How to set a target path for interest rates
If you wish to upgrade to iESG v6.2.3, please contact Barrie & Hibbert through your account manager. Our contact details are available here.
